I have rubbed a tiny bit of candle wax on the thread, at maybe three spots around the perimeter, before screwing it in. That's with the idea of providing a bit of lubrication that is likely stay pretty much in the threads and not migrate much. If you screw together brand new filters in anodized aluminum frames, you can feel a certain gritty friction, the smidgeon of wax helps relieve that.

My 2,